Unobservables in econometric models

This thesis consists of four self-contained essays. They are, however, interrelated in several ways. The most basic connection is that they are all concerned with the proper stochastic specification of a model. More specifically, we have tried to integrate the stochastic specification with the rest of the structure by regarding the systematic part of the residuals as additional explanatory variables which happen to be unmeasured. Then we must specify how the observed and unobserved variables are related to each other.